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156 lines (137 loc) · 6.18 KB
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using XAPI;
using SmartQuant;
using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using SQ = SmartQuant;
namespace QuantBox.APIProvider.Single
{
class QuoteMap : BaseMap
{
private OrderMap orderMap;
private ConcurrentDictionary<string, QuoteRecord> pendingOrders; // 新单
private Dictionary<string, QuoteRecord> workingOrders; // 挂单
private Dictionary<int, string> orderIDs; // 撤单时映射
private ConcurrentDictionary<string, QuoteRecord> pendingCancels; // 撤单拒绝时使用
public QuoteMap(Framework framework, SingleProvider provider,OrderMap orderMap):base(framework,provider)
{
this.orderMap = orderMap;
pendingOrders = new ConcurrentDictionary<string, QuoteRecord>();
workingOrders = new Dictionary<string, QuoteRecord>();
orderIDs = new Dictionary<int, string>();
pendingCancels = new ConcurrentDictionary<string, QuoteRecord>();
}
public void Clear()
{
pendingOrders.Clear();
workingOrders.Clear();
orderIDs.Clear();
pendingCancels.Clear();
orderMap.Clear();
}
public void EmitExecutionReport(QuoteRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus)
{
EmitExecutionReport(new OrderRecord(record.AskOrder), execType, orderStatus);
EmitExecutionReport(new OrderRecord(record.BidOrder), execType, orderStatus);
}
public void EmitExecutionReport(QuoteRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus, string text)
{
EmitExecutionReport(new OrderRecord(record.AskOrder), execType, orderStatus, text);
EmitExecutionReport(new OrderRecord(record.BidOrder), execType, orderStatus, text);
}
public void DoQuoteSend(QuoteField quote, ExecutionCommand command,Order askOrder,Order bidOrder)
{
//string askRef;
//string bidRef;
//provider._TdApi.SendQuote(ref quote,out askRef,out bidRef);
//if (askRef == null)
//{
// // 直接将单子拒绝
// EmitExecutionReport(new QuoteRecord(askOrder, bidOrder), SQ.ExecType.ExecRejected, SQ.OrderStatus.Rejected, "ErrorCode:");
//}
//else
//{
// this.pendingOrders.TryAdd(askRef, new QuoteRecord(askOrder, bidOrder));
//}
}
public void DoQuoteCancel(ExecutionCommand command)
{
string quoteId;
if (orderIDs.TryGetValue(command.Order.Id, out quoteId))
{
QuoteRecord record;
if (this.workingOrders.TryGetValue(quoteId, out record))
{
pendingCancels[quoteId] = record;
}
//string err;
//provider._TdApi.CancelQuote(quoteId,out err);
//if (!string.IsNullOrEmpty(err))
//{
// EmitExecutionReport(record, SQ.ExecType.ExecCancelReject, record.Status, "ErrorCode:" + err);
//}
}
}
public void Process(ref QuoteField quote)
{
// 所有的成交信息都不处理，交给TradeField处理
if (quote.ExecType == XAPI.ExecType.Trade)
return;
QuoteRecord record = null;
switch (quote.ExecType)
{
case XAPI.ExecType.New:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
this.workingOrders.Add(quote.ID, record);
this.orderIDs.Add(record.AskOrder.Id, quote.ID);
this.orderIDs.Add(record.BidOrder.Id, quote.ID);
orderMap.ProcessNew(ref quote, record);
// 这个地方可以跳过
//EmitExecutionReport(record, quote.ExecType, quote.Status);
}
break;
case XAPI.ExecType.Rejected:
if (this.pendingOrders.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
else if (this.workingOrders.TryGetValue(quote.ID, out record))
{
// 比如说出现超出涨跌停时，先会到ProcessNew，所以得再多判断一次
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, (SQ.ExecType)quote.ExecType, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
case XAPI.ExecType.Cancelled:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
workingOrders.Remove(quote.ID);
orderIDs.Remove(record.AskOrder.Id);
orderIDs.Remove(record.BidOrder.Id);
EmitExecutionReport(record, SQ.ExecType.ExecCancelled, SQ.OrderStatus.Cancelled);
}
break;
case XAPI.ExecType.PendingCancel:
if (this.workingOrders.TryGetValue(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecPendingCancel, SQ.OrderStatus.PendingCancel);
}
break;
case XAPI.ExecType.CancelReject:
if (this.pendingCancels.TryRemove(quote.ID, out record))
{
EmitExecutionReport(record, SQ.ExecType.ExecCancelReject, (SQ.OrderStatus)quote.Status, quote.Text());
}
break;
}
if(record != null)
record.Status = (SQ.OrderStatus)quote.Status;
}
}
}